本文關(guān)鍵詞：中國(guó)股票市場(chǎng)的非交易時(shí)段信息及其投資價(jià)值的研究　出處：《復(fù)旦大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

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【摘要】：中國(guó)股票市場(chǎng)的交易時(shí)段只為每個(gè)工作日的四個(gè)小時(shí),而非交易時(shí)段占到整個(gè)投資周期的六分之五以上；同時(shí),在中國(guó)的股票市場(chǎng),眾多的宏觀經(jīng)濟(jì)數(shù)據(jù)、央行的貨幣政策以及上市公司的重要公告都是在非交易時(shí)段進(jìn)行發(fā)布,這是為了避免這些信息在交易時(shí)段對(duì)股價(jià)造成大幅波動(dòng)的影響。雖然在非交易時(shí)段,投資者不能夠進(jìn)行投資操作,但是這些信息不僅影響著股票在非交易時(shí)段后的開(kāi)盤價(jià)格,而且也會(huì)對(duì)之后的交易時(shí)段股票的走勢(shì)造成一定的影響。因此,對(duì)非交易時(shí)段的信息以及它的經(jīng)濟(jì)含義的研究是十分必要和有意義的。 本論文主要是分為三個(gè)部分去研究：首先,為了研究非交易時(shí)段信息對(duì)交易時(shí)段的收益及波動(dòng)性,論文建立了GARCH(1,1)模型,分別檢驗(yàn)了滬深兩市的綜合非交易時(shí)段以及分類型非交易時(shí)段對(duì)交易時(shí)段收益即波動(dòng)性的影響,結(jié)果顯示,兩市的非交易時(shí)段對(duì)交易時(shí)段的收益與風(fēng)險(xiǎn)影響顯著,且深市的影響程度較大；接著,為了研究非交易時(shí)段對(duì)整個(gè)投資周期的風(fēng)險(xiǎn)的貢獻(xiàn),論文建立了EVT-Copula-VaR以及C-VaR模型,分別實(shí)證檢驗(yàn)了滬市以及港市非交易時(shí)段的貢獻(xiàn)度,結(jié)果顯示,兩市非交易時(shí)段的風(fēng)險(xiǎn)貢獻(xiàn)度較大,且港市較滬市更大;最后,為了檢驗(yàn)使用了非交易時(shí)段信息的投資組合更為有效,論文建立了均值-方差投資組合模型,模擬了上證50,深證100以及上證180三只ETF構(gòu)成組合的有效前沿,結(jié)果顯示,考慮了非交易時(shí)段的投資組合,其有效前沿位于其他組合的左上方,更為有效。
[Abstract]:China's stock market has only four hours of trading time per working day, while non-trading periods account for more than 5/6 of the entire investment cycle. At the same time, in China's stock market, numerous macroeconomic data, the central bank's monetary policy and important announcements of listed companies are issued during non-trading hours. This is to avoid the impact of this information on stock prices during trading hours, although investors are not allowed to make investments during non-trading hours. However, these information not only affect the opening price of stocks after the non-trading period, but also affect the trend of the stock after the trading period. It is necessary and meaningful to study the information of non-transaction period and its economic meaning. This paper is mainly divided into three parts to study: first, in order to study the return and volatility of non-trading period information on the trading period, the paper establishes the GARCH1) model. The effects of the comprehensive non-trading period and the sub-type non-trading period on the volatility of the trading period in Shanghai and Shenzhen stock markets are tested respectively. The results show that. The non-trading period of the two markets has a significant impact on the return and risk of the trading period, and the impact of the Shenzhen market is greater; Then, in order to study the risk contribution of non-trading period to the whole investment cycle, the paper establishes EVT-Copula-VaR and C-VaR model. The results show that the risk contribution of the two markets is greater than that of the Shanghai stock market, and the Hong Kong market is bigger than the Shanghai stock market. Finally, in order to test the efficiency of using the information of non-trading period, the paper establishes the mean-variance portfolio model and simulates the Shanghai Stock Exchange 50. Shenzhen Stock Exchange 100 and Shanghai Stock Exchange 180 three ETF constitute the effective frontier of the portfolio. The results show that considering the non-trading period of the portfolio, its effective frontier is located in the upper left of the other portfolio, which is more effective.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.5;F224

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